The pricing kernel puzzle: survey and outlook

DOI10.1007/S10436-017-0317-9zbMATH Open1398.91576OpenAlexW3123158993MaRDI QIDQ1669867FDOQ1669867

Authors: Horatio Cuesdeanu, Jens Carsten Jackwerth 

Publication date: 4 September 2018

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: http://nbn-resolving.de/urn:nbn:de:bsz:352-2-zjiaa35xt307

Recommendations

• The pricing kernel puzzle in forward looking data
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zbMATH Keywords

optionsstochastic discount factorpricing kernel puzzleS\&P 500

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

Cites Work

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• The pricing kernel puzzle: survey and outlook
• Reference-dependent preferences and the empirical pricing kernel puzzle
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Cited In (9)

• Option market trading activity and the estimation of the pricing kernel: a Bayesian approach
• Empirical reverse engineering of the pricing kernel.
• The pricing kernel puzzle: survey and outlook
• Three solutions to the pricing kernel puzzle
• Reference-dependent preferences and the empirical pricing kernel puzzle
• Estimating time-varying risk aversion from option prices and realized returns
• The pricing kernel puzzle in forward looking data
• A note on Stein's overreaction puzzle
• Measure preserving derivatives and the pricing kernel puzzle

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